Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 7 | 7 | 8 |
| Score | 3.03 | 2.83 | 3.94 |
| Market Cap (Millions USD) | 975 | 943.68 | 968.7 |
| Predicted Beta | 2.53 | 2.55 | 2.52 |
| Idiosyncratic Volatility | 4.47 | 5.85 | 6.09 |
Annualized return and volatility
| IYC | |
|---|---|
| Annualized Return | 0.0786 |
| Annualized Std Dev | 0.1926 |
| Annualized Sharpe (Rf=0%) | 0.4081 |
Row
Daily Return Statistics
| IYC | |
|---|---|
| Observations | 4988.0000 |
| NAs | 126.0000 |
| Minimum | -0.0875 |
| Quartile 1 | -0.0050 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1091 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | -0.0040 |
| Kurtosis | 6.0010 |
Downside Risk
| IYC | |
|---|---|
| Semi Deviation | 0.0087 |
| Gain Deviation | 0.0087 |
| Loss Deviation | 0.0092 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.5310 |
| Historical VaR (95%) | -0.0193 |
| Historical ES (95%) | -0.0289 |
| Modified VaR (95%) | -0.0181 |
| Modified ES (95%) | -0.0281 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-02-04 | -0.5310 | 944 | 455 | 489 |
| 2001-05-23 | 2003-03-12 | 2006-10-04 | -0.4136 | 1373 | 460 | 913 |
| 2018-09-28 | 2018-12-24 | 2019-04-12 | -0.2049 | 137 | 61 | 76 |
| 2000-07-17 | 2000-10-18 | 2001-05-21 | -0.1895 | 217 | 68 | 149 |
| 2011-07-08 | 2011-08-08 | 2012-01-19 | -0.1791 | 137 | 22 | 115 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYC | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 0.0 | 0.0 | 0.0 | 0.6 | 1.0 | 0.0 | 1.6 |
| 2001 | -0.5 | -1.6 | 0.0 | 2.1 | 0.0 | 0.0 | -0.4 | 0.0 | -1.1 | 1.1 | 0.0 | 0.0 | -0.4 |
| 2002 | -0.9 | 2.3 | -1.3 | 1.6 | 0.0 | -3.0 | -2.9 | 0.0 | 2.1 | 1.5 | 0.0 | 0.0 | -0.8 |
| 2003 | 0.0 | 0.0 | -0.6 | -0.4 | 0.0 | 0.1 | -0.8 | 0.0 | 2.4 | 0.0 | 0.6 | 0.0 | 1.3 |
| 2004 | 0.0 | 1.2 | -0.3 | 0.0 | 0.2 | -1.2 | 0.0 | 0.2 | 1.1 | 0.2 | 1.8 | 0.0 | 3.1 |
| 2005 | 0.3 | 1.0 | -1.2 | 0.0 | 0.7 | 0.1 | 0.2 | -1.0 | 0.0 | 0.3 | 1.0 | 0.0 | 1.4 |
| 2006 | 0.5 | 0.7 | 0.0 | 0.0 | 1.4 | 0.0 | -1.1 | 0.9 | 0.0 | -1.1 | -0.2 | 0.0 | 1.1 |
| 2007 | 0.2 | -0.3 | 0.0 | 0.2 | 0.9 | 0.0 | 0.3 | 0.0 | 0.5 | -2.5 | 0.0 | 0.0 | -0.7 |
| 2008 | 1.8 | 0.0 | 3.9 | 2.5 | 0.0 | 0.2 | -0.5 | 0.0 | -1.0 | 0.0 | -7.4 | 0.0 | -1.0 |
| 2009 | 0.0 | 0.0 | 1.8 | -0.4 | 3.8 | 0.4 | 0.0 | -1.5 | -1.8 | 0.0 | 1.3 | 0.0 | 3.5 |
| 2010 | 1.1 | 1.3 | 0.5 | 0.0 | -1.6 | 0.8 | 0.0 | 3.2 | 0.1 | -0.1 | 1.8 | 0.0 | 7.3 |
| 2011 | 1.5 | -1.6 | 0.7 | 0.0 | -2.0 | 1.7 | -0.7 | -1.2 | 0.0 | -2.0 | 0.1 | 0.0 | -3.4 |
| 2012 | 0.8 | 0.5 | 0.0 | 0.4 | -2.7 | 0.0 | -0.6 | 0.0 | 0.1 | 0.9 | 0.0 | 0.0 | -0.7 |
| 2013 | 0.8 | 0.6 | -0.5 | -0.2 | 0.0 | 0.7 | 1.3 | 0.0 | 0.9 | 0.4 | 0.0 | 0.0 | 4.1 |
| 2014 | 0.0 | 0.0 | 1.2 | 0.3 | 0.0 | 1.0 | -0.1 | 0.0 | -1.5 | 0.0 | -1.0 | 0.0 | -0.1 |
| 2015 | 0.0 | 0.0 | -0.6 | 1.4 | 0.2 | 1.0 | 0.0 | -2.2 | 0.6 | 0.0 | 1.1 | 0.0 | 1.3 |
| 2016 | 0.6 | 2.1 | 0.6 | 0.0 | 0.2 | 0.8 | 0.1 | 0.3 | 0.0 | -0.7 | -0.2 | 0.0 | 3.8 |
| 2017 | -0.2 | 0.8 | 0.0 | 0.2 | 1.1 | 0.0 | 0.4 | 0.3 | 0.0 | 0.1 | -0.1 | 0.0 | 2.7 |
| 2018 | -1.0 | -1.1 | 0.0 | 0.2 | 0.5 | 0.0 | -0.4 | 0.0 | -0.3 | 2.0 | 0.0 | 0.0 | -0.1 |
| 2019 | -1.3 | 0.6 | 1.1 | -0.8 | 0.0 | 0.8 | -0.9 | 0.0 | -0.7 | 0.5 | 0.0 | 0.2 | -0.5 |
Row
Rolling Performance Chart
Snail Trail Chart
